This paper introduces quantitative risk management and scenario analysis framework for asset-liability management of stable value fund wraps. Stable value funds are guaranteed return employee benefit investment options, with currently over $400 billion USD of assets under management. These...

We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of...